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Volatilidade no mercado brasileiro: o efeito das crises político-econômicas: um estudo de causalidade
(2005-11-24)
This work seeks for relationship between information flows and market volatility in the Brazilian Stock Market. The Brazilian economy, with several informational shocks in the last five years, is an interesting field for ...
Keynesian Hypothesis of Public Expenditure against Wagner's Law: A Cointegration and Causality Analysis for Peru
The objective of this article is to verify the achievement of Wagner's Law opposed to the Keynesian hypothesis relating to public disbursement in Peru. For that, we analyzed the relationship between public expenditure and ...
Testing for unit roots and granger non-causality in time series with multiple structural breaks. An international stock markets application
(2014-10)
In the current paper, we analyze the relationship amongst the dynamics of a group of selected stock indices using daily data. In order to that, we explore the statistical properties of the series, in particular the existence ...
Granger causality testing for Argentina MERVAL index and the major world stock markets
(2015-10)
In this paper are analyzed the causal links among a selected group of global stock market indices, with special focus on the role of Argentina MERVAL index. With this objective in mind, two types of non-conventional Granger ...
Análise da causalidade e cointegração entre variáveis macroeconômicas e o Ibovespa
(Universidade Federal de Santa MariaBRAdministraçãoUFSMPrograma de Pós-Graduação em Administração, 2012-02-10)
The aim of this work was to assess the causality relation among the set of macroeconomic variables, represented by interest and exchange rates, inflation and Industrial Production Index as proxy of the Gross Internal Product ...